The Implied Futures Financing Rate

57 Pages Posted: 1 Dec 2016 Last revised: 20 Apr 2017

See all articles by Nicholas Gunther

Nicholas Gunther

University of California, Berkeley

Robert M. Anderson

University of California, Berkeley - Department of Economics

Lisa R. Goldberg

University of California, Berkeley; Aperio Group

Date Written: November 29, 2016

Abstract

We explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. While this implicit financing rate has often been attractive relative to market rates on explicit financing, the relationship between the implicit and explicit financing rates has been volatile and varied considerably based on legal and economic regimes.

Keywords: futures, financing, leverage, futures implied rate, S&P 500 Index, Commodity Futures Modernization Act, CFMA, financial crisis, bootstrap confidence interval, mean reversion

JEL Classification: G01, G32, G12, G18, G23, G13

Suggested Citation

Gunther, Nicholas and Anderson, Robert M. and Goldberg, Lisa R., The Implied Futures Financing Rate (November 29, 2016). Available at SSRN: https://ssrn.com/abstract=2877475 or http://dx.doi.org/10.2139/ssrn.2877475

Nicholas Gunther

University of California, Berkeley ( email )

POB 13234
Oakland, CA 94661
United States

Robert M. Anderson

University of California, Berkeley - Department of Economics ( email )

530 Evans Hall #3880
Berkeley, CA 94720-3880
United States

Lisa R. Goldberg (Contact Author)

University of California, Berkeley ( email )

Department of Statistics
367 Evans Hall
Berkeley, CA 94720-3860
United States

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

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